Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Most Sectors Declining
- Volume: Around Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 18.9 +6.3%
- Euro/Yen Carry Return Index 121.92 -.20%
- Emerging Markets Currency Volatility(VXY) 8.19 +.24%
- S&P 500 Implied Correlation 45.70 +5.0%
- ISE Sentiment Index 78.0 -5.1%
- Total Put/Call .96 -11.11%
- NYSE Arms 1.17 -5.7%
Credit Investor Angst:
- North American Investment Grade CDS Index 61.84 +1.48%
- America Energy Sector High-Yield CDS Index 503.0 +1.82%
- European Financial Sector CDS Index 69.50 +2.7%
- Italian/German 10Y Yld Spread 143.75 +1.0 basis point
- Asia Ex-Japan Investment Grade CDS Index 79.05 +.73%
- Emerging Market CDS Index 214.86 +.35%
- iBoxx Offshore RMB China Corporate High Yield Index 166.27 +.04%
- 2-Year Swap Spread 3.0 +.25 basis point
- TED Spread 34.25 +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -24.5 -.75 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 65.21 -.11%
- 3-Month T-Bill Yield 1.68% -2.0 basis points
- Yield Curve .09 -4.0 basis points
- China Iron Ore Spot 89.35 USD/Metric Tonne -.38%
- Citi US Economic Surprise Index 19.0 -1.9 points
- Citi Eurozone Economic Surprise Index -77.30 +.4 point
- Citi Emerging Markets Economic Surprise Index -11.0 -.2 point
- 10-Year TIPS Spread 1.48 -3.0 basis points
- 90.8% chance of Fed rate cut at Dec. 11th meeting, 95.6% chance of cut at Jan. 29th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -177 open in Japan
- China A50 Futures: Indicating -143 open in China
- DAX Futures: Indicating +5 open in Germany
Portfolio:
- Slightly Lower: On losses in my biotech/tech/retail/medical/industrial sector long
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my emerging market shorts
- Market Exposure: Moved to 25% Net Long
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